Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0825
Annualized Std Dev 0.2710
Annualized Sharpe (Rf=0%) 0.3045

Row

Daily Return Statistics

Close
Observations 5251.0000
NAs 1.0000
Minimum -0.1152
Quartile 1 -0.0080
Median 0.0000
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0093
Maximum 0.1724
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0171
Skewness 0.0371
Kurtosis 5.4373

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0120
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.6240
Historical VaR (95%) -0.0260
Historical ES (95%) -0.0395
Modified VaR (95%) -0.0256
Modified ES (95%) -0.0388
From Trough To Depth Length To Trough Recovery
2011-08-23 2015-12-15 NA -0.6240 2410 1086 NA
2008-03-18 2008-10-23 2009-11-25 -0.4469 429 154 275
2003-02-05 2003-06-11 2004-01-09 -0.2532 235 88 147
2006-05-12 2006-09-20 2007-10-26 -0.2364 368 91 277
2004-04-02 2004-05-13 2005-12-07 -0.2175 425 29 396

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 0 0 0 -1.9 -1.9 0 0 2 -1.8
2001 1 0 1.6 0.6 -0.9 1.2 1 0.3 -0.8 -0.3 1.2 1.5 6.6
2002 1.7 -0.3 0.3 0.8 2 1.2 3 0 -1.1 1.4 0.5 0.2 9.9
2003 1.6 0 -1.3 2.2 -1.6 0.5 -0.4 0.8 -1.3 0.4 1.7 -0.4 2.3
2004 1.3 1.8 1.3 1 -0.4 -1.1 1.1 -0.4 -0.2 -0.5 1 0 5
2005 0.4 -0.5 1.3 1.3 0.4 -1.7 0.4 2.9 -1.6 -2.1 1.6 1.2 3.5
2006 0 -0.8 -0.3 -0.7 -1.5 -1.1 2.4 0.3 -0.9 2.6 -0.6 0.1 -0.5
2007 1.7 -2.5 -0.5 -0.4 1.6 0.4 -0.7 1.1 0.2 -1.1 -2.2 -0.5 -2.8
2008 -2.2 -1 -3.4 -1.9 1.1 3.3 -1.2 -0.6 -0.1 -3.2 -8.1 2.7 -14.1
2009 2.9 -0.3 0.9 0.4 -1.9 1.2 3.1 0.3 -2.2 -0.9 2.2 0.9 6.6
2010 2.8 0 1.8 1.4 0.3 -3.4 1.9 -0.2 1.4 -1.1 1.2 0.5 6.6
2011 1.3 2.8 -0.6 -0.7 -2.9 -1.4 -0.6 0.9 -1.8 -1.3 -0.6 1.4 -3.6
2012 0.9 2.8 0.6 -0.2 5.5 3 -0.8 3.9 1 -0.3 -1.3 0.5 16.5
2013 1.1 -0.1 -0.5 -2.5 -1.5 1 -0.6 -1.2 -3 -1.1 1.6 0.3 -6.5
2014 0.1 -0.3 -0.1 -0.7 -0.5 -0.3 -0.1 0 1.2 -2.6 5.6 -2.5 -0.6
2015 2.6 0.1 1.6 -0.2 -0.4 -0.8 0.4 0.9 0.5 0 0.5 0 5.2
2016 1.1 -1.1 -1.7 2 -0.2 3.4 -0.1 1 0 1 -0.2 -2.4 2.7
2017 -0.5 0.5 0.5 -1.3 0.2 0.1 0.2 -0.5 -0.2 0.6 0.1 0.8 0.4
2018 -0.1 -0.2 0.2 -0.8 -0.2 0.4 -0.8 -0.4 -0.5 2.1 -0.5 0.3 -0.6
2019 -0.9 -2.2 0.4 -0.9 1.1 -1.4 1.4 0.1 1.2 0.3 0.8 0.2 0.2
2020 1 -6.1 -0.7 -0.2 0.9 -0.4 1.3 0.4 1.8 0.9 3.8 0.4 2.8
2021 3.7 -0.3 0.3 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-01  3.44 SPY    147.  0.0136   0.0338  -0.0109  0.0533    0.0838       NA       NA <NA>     NA    NA       NA
2 2000-05-02  3.5  SPY    144. -0.02    -0.0272  -0.0416  0.0226    0.0776       NA       NA <NA>     NA    NA       NA
3 2000-05-03  3.44 SPY    142. -0.0173  -0.0332  -0.0636  0.004     0.0505       NA       NA <NA>     NA    NA       NA
4 2000-05-04  3.5  SPY    142.  0.0013  -0.0287  -0.027  -0.00960   0.0584       NA       NA <NA>     NA    NA       NA
5 2000-05-05  3.5  SPY    144.  0.0121  -0.0108  -0.0379  0.0066    0.0632       NA       NA <NA>     NA    NA       NA
6 2000-05-08  3.5  SPY    142. -0.0075  -0.0313  -0.0534  0.0005    0.0605       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart